Enumerates the possible algorithms for computing the nearest correlation matrix.
Namespace:
Extreme.Statistics
Assembly:
Extreme.Numerics (in Extreme.Numerics.dll) Version: 8.1.1
public enum NearestCorrelationMatrixAlgorithm
Public Enumeration NearestCorrelationMatrixAlgorithm
public enum class NearestCorrelationMatrixAlgorithm
type NearestCorrelationMatrixAlgorithm
|
| Member name | Value | Description |
|---|
| ScaledProjection | 0 |
Use a method that scales a projection onto positive definite matrices.
|
| AlternatingProjections | 1 |
Use an iterative method that alternates between projecting on positive definite
and unit diagonal matrices.
|
Reference